Gambling on a VPN won't flag you by these casinos by itself. If they get KYC'd they may be required to submit verification documents that match the country they were VPN'ed to.
Casinos always make things that are uncomplicated very complicated when they find gamblers wanting to withdraw big money let alone get big wins, usually small casinos often make unreasonable requirements and make it even more complicated so that gamblers cannot withdraw their money from the casino then spend the money or account will be frozen.
I have personally never had to use a VPN to access gambling services, fortunately. Though, if I had to advise someone in a position where they need to do so, it would be better first to look for alternatives that actually can carter people from one's country and without using a VPN.
In the case of those alternatives are lackluster or not available, there would be no option but try a VPN, keeping in mind one needs to check the Terms of Service each time their are updated, to avoid getting uncomfortable surprises in the future and in the case one want to withdraw some wins. In any case, VPN being is only option is something I would only expect out of very authoritarian countries and societies.